A company wants a swap where it receives semiannual payments at 6.5% per annum with semiannual compounding on a principal of $5 million. The five-year swap rate with semiannual cash flows is 6% per annum with semiannual compounding. The OIS zero curve is flat at 5% per annum with continuous compounding. How much should a derivatives dealer charge the company?

It is March 3, 2020. The quoted price of a U.S. government bond with a 5% per annum coupon (paid semiannually) is 108-15. The bond matures on May 16, 2028. (a) What is the cash price? (b) How does your answer change if it is a corporate bond? It is March 3, 2020. The quoted price of a U.S. government bond with a 5% per annum coupon (paid semiannually) is 108-15. The bond matures on May 16, 2028. (a) What is the cash price? (b) How does your answer change if it is a corporate bond